What sould you do after first boot ?

First, read "afterboot(8)" and "intro(8)" manpages. Believe it or not, OpenBSD's developpers wrote a few words for you after install ✌

$ man afterboot
$ man intro

You'll learn how to read manpages actually.

Look configuration examples

See examples in "/etc/examples".

If you add ports, read included instructions un "/usr/local/share/doc/pkg-readmes".

Edit "/etc/mail/aliases" and set root mail to get important reports:

root: batman@athome.tld

You may want to disable non used daemons, such as sndiod in charge of audio (unless you need it of course).

By the way, let's talk about "rcctl" to deal with daemons.

List enabled daemons :

# rcctl ls on

To stop daemon, i.e audio server :

# rcctl stop sndiod

And to disable daemon for next boot :

# rcctl disable sndiod

You probably want to enable power management. As an example, below lines will enable apmd, add "-A" flag to daemon startup and actually start apmd :

# rcctl enable apmd
# rcctl set apmd flags -A
# rcctl start apmd

Read intro(8) to learn about default daemons availables on OpenBSD :

man 8 intro